scientific article; zbMATH DE number 1264449

MaRDI QIDQ4233392zbMATH OpenFDO

Authors

Publication date 16 March 1999

zbMATH Keywords

DAXGerman stocks

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Recommendations

• Efficient factor GARCH models and factor-DCC models
• The relation between conditionally heteroskedastic factor models and factor GARCH models
• A full-factor multivariate GARCH model
• A nesting framework for Markov-switching GARCH modelling with an application to the German stock market
• A Student-t full factor multivariate GARCH model

Cited in

(4)

• Efficient factor GARCH models and factor-DCC models
• The relation between conditionally heteroskedastic factor models and factor GARCH models
• Factor models of stock returns: GARCH errors versus time-varying betas
• Macroeconomic Factors and Stock Returns in Germany

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4233392)